Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0471
Annualized Std Dev 0.3959
Annualized Sharpe (Rf=0%) -0.1189

Row

Daily Return Statistics

Close
Observations 3469.0000
NAs 1.0000
Minimum -0.2712
Quartile 1 -0.0113
Median 0.0005
Arithmetic Mean 0.0001
Geometric Mean -0.0002
Quartile 3 0.0118
Maximum 0.2897
SE Mean 0.0004
LCL Mean (0.95) -0.0007
UCL Mean (0.95) 0.0010
Variance 0.0006
Stdev 0.0249
Skewness -0.2594
Kurtosis 15.2083

Downside Risk

Close
Semi Deviation 0.0180
Gain Deviation 0.0178
Loss Deviation 0.0193
Downside Deviation (MAR=210%) 0.0223
Downside Deviation (Rf=0%) 0.0179
Downside Deviation (0%) 0.0179
Maximum Drawdown 0.8859
Historical VaR (95%) -0.0363
Historical ES (95%) -0.0587
Modified VaR (95%) -0.0350
Modified ES (95%) -0.0350
From Trough To Depth Length To Trough Recovery
2008-06-24 2020-03-23 NA -0.8859 3207 2956 NA
2008-01-04 2008-01-23 2008-02-25 -0.1600 35 13 22
2007-07-20 2007-08-16 2007-10-11 -0.1590 55 19 36
2008-02-29 2008-03-20 2008-04-08 -0.1211 27 15 12
2007-10-17 2007-11-15 2007-12-24 -0.0813 41 19 22

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA 1.1 0.1 -2.5 1.5 0.1 -1.3 -0.4 -1.2 -2.5
2008 3 -3.5 1.9 -2.1 1.8 0.1 0.2 -0.8 0.4 2 -9.5 3.6 -3.8
2009 -2.3 -1.4 2.4 4.1 4.1 0.8 0.9 -1.7 -3.9 -4.7 1.9 -0.8 -1
2010 3.7 1.4 2.3 -1.8 -5.8 -0.3 0.4 3.8 0.7 0.5 2.7 0.1 7.6
2011 1.3 -1.9 0.6 2.3 -2.3 1 -0.3 -1 -3.6 -3.2 -0.6 0.1 -7.5
2012 0.8 1.4 0.4 1 -3.4 3.7 0.6 1.3 0.5 1.6 0.3 2.9 11.5
2013 1.1 -1.2 -1.3 -1.8 -1.7 0.5 1.9 -0.7 1.2 0.2 -0.4 1.2 -1.2
2014 -0.6 0.8 0.7 -0.5 -0.1 0.1 -1.1 1 -2.3 2 -0.9 -0.8 -1.7
2015 2.9 -0.1 1.1 0.3 -0.6 -2.8 -2.6 -4.5 0.1 2 0.9 1.4 -2.2
2016 -2.8 1.9 -2.3 0.3 0.5 2.3 -3.7 -0.7 1.4 0.1 0.7 -0.7 -2.9
2017 -0.2 1.7 0.6 -0.8 1.3 -0.1 -0.3 1.6 0 2.5 1.7 -0.8 7.5
2018 0.5 1 2.6 -0.5 0.1 0.2 -1.1 -0.6 1.8 1.9 -1.4 0.9 5.4
2019 0.1 1.8 1.5 -2.7 -1.8 0.2 -4.2 -0.8 -2.8 3.3 -1.8 1.1 -6.2
2020 -2.4 3.6 -5.5 -8.3 3.1 -3 0 0 -1.4 -0.4 -0.5 -0.9 -15.3
2021 1 2.7 1.7 NA NA NA NA NA NA NA NA NA 5.5

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart